they make symlinks in /opt ... if you don't have /opt, it won't work (most Puppy's come with /opt ... if you have an option 2 hard drive install, you can just create /opt)

also, it's the wrappers in my-application/bin that make the symlinks ... you can not run the executables in the program folder directly

mplayer and gmplayer make the symlinks and runs the mplayer executable ... it sends program output to /dev/null, because it was filling up xerrs.txt ... mplayer2 also executes mplayer, but you can see output like help and error messages

try opening an rxvt window and typing
mplayer2 name-of-file.avi
(or whatever your movie file is called), to see what error messages you get